Enum CmsSpreadCorrelation 

pub enum CmsSpreadCorrelation {
    Contract(f64),
    Market,
}

Where a CMS spread coupon’s rate-to-rate correlation comes from.

A contract correlation is a term of the trade and has no risk row; a market correlation is the market’s mark for the coupon’s pair of swap indices, pinned by MarketContext::with_cms_spread_correlation, and carries one on the correlation axis. A desk marks one correlation per pair, calibrated to quoted spread options, so the market variant needs no key of its own: the pair is the key.

Variants

Contract(f64)

A correlation in [-1, 1] stated on the trade.

Market

The market’s correlation for the coupon’s two swap indices.

Trait Implementations

impl Clone for CmsSpreadCorrelation

fn clone(&self) -> CmsSpreadCorrelation

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Copy for CmsSpreadCorrelation

impl Debug for CmsSpreadCorrelation

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl From<f64> for CmsSpreadCorrelation

fn from(correlation: f64) -> Self

Converts to this type from the input type.

impl FromStr for CmsSpreadCorrelation

"Market", or a number read as a contract correlation.

type Err = CmsSpreadCorrelationParseError

The associated error which can be returned from parsing.

fn from_str(s: &str) -> Result<Self, Self::Err>

Parses a string s to return a value of this type.

impl PartialEq for CmsSpreadCorrelation

fn eq(&self, other: &CmsSpreadCorrelation) -> bool

Tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl StructuralPartialEq for CmsSpreadCorrelation